EWZ Analysis

iShares MSCI Brazil Capped (EWZ)

Update 4/19/2017: EWZ continued a sideways correction that began in early March as time decay worked to bring the position to profitability. I exited at 18.2% of maximum profit.

Shares showed a net decline of 3.1% over 21 days, or a -54% annual rate. The options position produced a 22.3% yield on debit for a +387% annual rate.


 

EWZ, an exchange-traded fund, has sufficiently high implied volatility to support a trade for the nearer term, although it is quite low compared to the annual range.

I shall use the MAY series of options, which trades for the last time 51 days hence, on May 19.

Implied volatility stands at 32%, which is double the VIX, a measure of the volatility of the S&P 500 index.

EWZ’s IV stands in the 25th percentile of its annual range and the 75th percentile of its most recent broad movement.

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LB Analysis

L Brands Inc. (LB)

Update 5/20/2017; LB gapped sharply to the downside immediately upon the publication of earnings, recovered about half the decline, moved further to the downside and then returned several times to the 50% retracement level. I exited the bear call spread portion of the position on May 15, allowing the bull put spread side to expire without value on May 20.

During the lifepsan of the position, shared rose by a net 43.1% over 53 days, or a +297% annual rate. The options position produced a +4.2% yield on debit for a +29% annual rate.


LB has sufficiently high implied volatility by several measures to support a trade.

I shall use the MAY series of options, which trades for the last time 52 days hence, on May 19.

Implied volatility stands at 31%, which is 2.7 times the VIX, a measure of the volatility of the S&P 500 index.

LB’s IV stands in the 52nd percentile of its annual range and the 39th percentile of its most recent broad movement.

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XRT Analysis

SPDR S&P Retail ETF (XRT)

Update 5/12/2017: XRT rose steadily beyond my position’s zone of profitability and then, in last five trading days, retreated, allowing me to exit at $1.46, or 25.1% of maximum potential profit, almost precisely at my target.

Shares showed a net rise of 2.7% over 46 days, or a +21% annual rate. The options position produced a 33.6% yield on debit for a +266% annual rate


XRT has sufficiently high volatility to qualify for trading.

I shall use the MAY series of options, which trades for the last time 53 days hence, on May 19.

Implied volatility stands at 20%, which is 1.5 times the VIX, a measure of the volatility of the S&P 500 index.

XRT’s IV stands in the 43rd percentile of its annual range and the 47th percentile of its most recent broad movement.

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KRE Analysis

SPDR S&P Regional Banking ETF (KRE)

Update 5/10/2017: KRE swung in the zig-zag pattern characteristic of a sideways correction, with time decay eventually bringing it to profitability I exited at 25% of maximum potential profit.

Shares produced a net rise of 3.0% over 44 days, or a 25% annual rate. The options position produced a 33.3% yield on debit for a 277% annual rate.


KRE’s implied volatility stands sufficiently high for me to meet my standards for trading.

I shall use the MAY series of options, which trades for the last time 53 days hence, on May 19.

Implied volatility stands at 26%, which is double the VIX, a measure of the volatility of the S&P 500 index.

KRE’s IV stands in the 43rd percentile of its annual range and the 52nd percentile of its most recent broad movement.

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The Week Ahead: GDP, income and outlays, trade

 

A third and final estimate of 4th quarter gross domestic product will be published on Thursday. Other major reports: International trade in goods on Tuesday and personal income and outlays on Friday.

All three reports will be released at 8:30 a.m. New York time.

Federal Reserve Chair Janet Yellen addresses the National Community Reinvestment Coalition’s annual conference in Washington, D.C. on Tuesday at 12:50 p.m. Her topic: Addressing Workforce Development Challenges in Low-Income Communities.

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